If you do nothing else today, listen to this audio clip of Thursday's crash live from the S&P 500 futures pit in Chicago. Pure, unadulterated adrenaline and chaos. Pure.
For those unfamiliar with the lingo, he's leaving off the first two digits, so when he's saying "91 even bid" he means 1091 in the SPX futures. He says "even" because they were just trading in whole numbers, not sub-dollar increments. Note that at the peak panic they were ten points wide: 1060-1070. This is for one of the most liquid increments in the world. Look back over the last several months and see how many days we had where the S&P500 didn't have a 10 point range for a whole day - and this was the bid-ask spread.
Also, note, that this is an old school, auction market.
Incredible.
(if the embedded audio above didn't work, click here)
-KD
12 comments:
"We gotta do this every day, dude".
By the way I agree your earlier point on indexarb cash baskets blowing thru ECN order books first after NYSE went goslow - in fact it has probably happened already at the start of this tape as the guy is already discussing "90 handles down thats wrong" before the fun starts.
Kid,
Here is a better version with charts synced up: http://www.vimeo.com/11570780
One to download and save for the ages just to show crazy markets can get and rationality goes out of the window.
Curious why he didn't call out *who* was selling. He usually provides color on who is the big seller/buyer (Like JPM on the way up).
Forget all the ridiculous prints on stocks and illiquidity, the HUGE volume in spoos is still mysterious. Someone wanted to bail out really fast, whether on purpose or accidentally and didn't care about price. Hopefully the SEC inquiry should shed more light on this.
crookery, I think the "90 handles" he mentions at the start is the limit down number.
What does "90 handles" mean?
"handles" just means "points".
from 1150 to 1060 = 90 handles.
also, more lingo: "carrs" just means "contracts" - named after Carr Futures, an old trading firm.
I was in the S&P options pit directly next this bad boy..... people thought a nuclear device went off somewhere. When I listen to the tape it seems like it took a while. In real time in seemed like it took only 10 seconds..
Great stuff....
I love the explosion up...
Someone has to do it.. it was worth the time =)
(parted due to 4096 char limit)
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its gotta stop right here at 45 or 50
I mean but this..
thats way too much! what is it? is it... is it 75 then or what?
what ya say, it was 1050 something?
1053, so 90handles? thats too much!
right right right right thats waaaay too much..
(11)fourteen even bid
we're talking about a THOUSAND dow points!
yeah, its just too much!!
13 even bid here
alright guys, sorry about that there's nothing I can do about that guys
once again honestly here in a big way
paper came in...
HUUUGE paper sellers coming through here guys!
we've gotsales marks up on the boards here once again
we've seen some BIIIG paper sellers comin in it started out up about around 38 even here now we're talking about 25 handles of solid sellside activity here guys!
they've just ??? the limit down on the s&p is 1153, sorry, 1053 even so we still have a solid 60 handles of range left
here it comes some sellers again !!
9,5 trading!
8,5 starts trading as well !
once again guys they gonna get... 8 even offer !!!
7 even offer !!!
6,5 starts trading !!!
6 even starts trading !!!
fiiive even starts trading here now once again !!!!
5 even:s do trade
we're gonna get a new...
5 even offer comes in
4 even starts trading here now
3 even starts trading here now
thats gonna get a low print at 1103 even!
guys 2 offer !...
offer 2 even starts trading !!!
once again above that 3 even, about three half
threee...
-----
(its not) ?
----
..pretty here guys
0 even starts trading !!
and the figure prints start trading
nine half starts trading here now!
once again we got figure trades here and we are trading eleven hundred even !
guys we are 64 handles lower on the day here now guys
nine..
---
missing audio
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...starts trade..
9 even offer comes in here now guys !!
once again; nine even starts trading here now guys
offer nine..
go figure here guys limit down is TEN FIFTYTHREE !
once again 8 even is trading
98 even that is once again guys
98 even bid and a 0 even offer
thats a 98 even bid
98 starts trading here now!
97 half starts trading here now once again
97 even starts trading here now guys!
---
missing audio
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96 half:s trade !
96 even's a trade!
94 even starts trading !!!!!
94 even starts trading here now guys
once again 4 half offer..
4 even offer
3 half:s do trade
93 even starts trading !
92 even starts trading !
91 even starts trading !
89 starts trading !!!!!
88 halfs are trading !!
87 even starts trading
86 even starts trading
85 even starts trading here now guys
awww they're very dead !! (??)
87 even starts trading
82 even starts trading
paper comes in; a big seller
81 even starts trading here now guys
79 starts trading!!!!
we've got 79:s trading here
78:s are trading
sixes are trading
76 even starts trading here now guys
75 even starts trading
4 evens..
3 evens starts trading here
2 even starts trading
72 even:s just traded
once again guys we are big time even bid here
72 even offer
68 even starts trading !
guys 70 even offer here
offer at 70 even offer here now guys once again
70 even offer !
65 even offer here now guys once again...!!
offer at 72 !!
offer at 70
60 even bid at 70 even offer here now guys
60 even bid at 70 even offer here now guys
60 even bid, guys...
60 even bid here now guys
this is the widest we have seen it years
60 even bid...
---missing audio--
I've got 64 evens trading !!
64 evens are trading
67 even starts trading
70 even starts trading here now guys once again
we made it ten handles the limit offer here guys !!
75 even starts trading
70 even bid at 75 even offer here now guys
70 even bid
here comes Morgan Stanley to sell !!
morgan stanley jcomes in to sell a 100 collars
75 even starts trading
guys once again 75 even offer here now guys..
70 even offer !!!
69:s trade !!
70 even bid here now guys,
70 even bid at 80!
70....STOP IT! its gotta hit a limit !!
73 even bid here now guys,
73 even bid
70 even bid here and now its 72
70 even bid at 75
72 even offer coming in!
--missing audio---
72 even offer coming in!
72 even offer coming in here now
72:s trade
75 even offer
it's the best I have here for you right now guys once again
at 75 !
guys this is probably the craziest I've seen it down here ever!!!
guys that means ??? was absolutely nuts!
77 even bid here now guys
77 even bid at 80 even offer
78 even offer here now guys
78 even offer!
8 evens trading!
80 even bid, 81 even bid, 84 even bid, 85 even bid, 87 even bid
NO OFFERS IN THE PIT HERE !!!!
91 in the bid no offers in the pit !!
92 even they've just traded the figure !!
once again the're trying to get a bigger print in here 12 handles above the last place !!
94 even bid here and now guys about 95
no now once again 94 even bid
guys 98 evens just traded there guys
once again they're trying to get a print all the way up to 98 even there guys 91 even bid
91 even bid here hitting 95 offer her now once again
91 even bid, CALL ALAN!
91 even bid
95:s do trade
95 evens do trade
tell 'em we've made it down to 1060
90 evens trading!
86 evens starts trading!
84 evens starts trading!
86 even bid at 95 even offer that was ten handles wide !
85 in the pit, 95 even offer
once again we are ten handles wide!
88 even bid and they don't even offer
88 even offer, 92 evens starts trading
and they're once again 92 even:s do trade
90 even bid here in the mad night at 92 even offer
90 even bid here now
91 even bid here now
once again they offer that 92
90 even bid here now guys trading
88 half starts trading here now!
once again that 88 half:s do trade
offer that 90 and 5
85 - 95 right now
85 bid at 95
selling is coming in on the upper
he's doing some selling here now guys
once again it starting to quiet down just a bit
85 even starts trading
84 even starts trading
83 even starts trading
85 even starts trading here now guys it was up at that 87
once again a 82 even bid at about 87 half offer
82 half bid at 87
85 bid at 90 even offer
85 bid at 90
90 even starts trading
once again a 85 bid at that 90
once again a 85 even bid at a 90 even offer
85 bid
guys 86 even bid
86 even bid here now guys at that 92 even offer
once again a 86 even bid at 92
this will blow people out in a big way lake you won't beleive...
90 even bid here now guys once again
91 even starts trading
91 even starts trading here now once again
91 even starts trading here now once again
91 is in play here guys
93 even starts trading!
93 half now guys once again people comes and offer that 2
option on a 93 purchase here once again
91 even starts trading
93
91 it is quieting down just a bit
93 even starts trading!
93 even
95 even
once again 93
once again 96 even still trading
some offer att 98
95-98
97-99
97 trading and people comes in to buy
98 trading here once again
98:s do trade
99 even bid
figure bid !
figure bid, people is trying to buy!
JP is trying to buy!
0 half bid
figure bid comes in att 1101 !
even bid coming in here now, JP Morgan is trying to buy
2 even starts trading !
3 even starts trading !
4 half starts trading and JP can't buy it!
5 even starts trading !
6 even:s and 7 even starts trading !
8 even starts trading !
JP with Merril Lynch coming in buyside all the way up to 95 up to the figure 05 !!!
once again guys we are ????(tedious) to do this every day dude
7 even bid here
once again 7 even:s do trade
guys 7 even:s do trade nere now
once again 05 even:s trading as well here now
once again we have people that came in big time buying
JP Morgan bid them up a 4-10 handles its a buyside activity there guys
once again we're figure even bid here now I call it ten bucks wide
figure even bid here now guys
once again its figure bid 05
we're back to a 1100 bid and a 05 offer
7 even start trading
guys once again here guys 7 even start trading
Look at the VIX, up to 38 !!
7 even bid here now guys
once again a 7 even bid here
we are 47 handles off our lows here !!!
once again 8 even bid here now guys, some offer that 9 even
here now once again at 8 even bid!
Who's Alan??
What's he mean by "paper comes in"? Cash?
"paper" usually means one of the big firms - as opposed to a "local" trader that usually trades smaller size.
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